Job Description
Summary
Twenty Financial Services are currently looking for a Wholesale Credit Risk Quant AVP for a leading international bank. The role looks at the development and validation of credit risk models using the Basel II framework and the management of credit risk portfolios.
Key Responsibilities
- Supporting the portfolio management team to develop Wholesale Credit Risk models
- Working on Basel II risk estimates such as PD, LGD, CCF and EAD
- Stress-testing credit portfolios
- Ad hoc model exercises for deep dive analysis
Key Skills
- Credit Risk model validation or development experience
- Knowledge of Basel II frameworks i.e. PD, EAD and LGD
- Strong quantitative experience with a degree in a numerical discipline i.e. Mathematics, Economics, Physics
- R is referred, however, high proficiency in another programming language, such as Python, MATLAB, SAS, will also be considered
If this sounds like the right opportunity for you, please get in touch with Victoria Gbadebo at Twenty Financial Services
